Open AccessOn Henstock Method to Stratonovich Integral with respect to Continuous Semimartingale
Author(s) -
Haifeng Yang,
Tin Lam Toh
Publication year - 2014
Publication title -
international journal of stochastic analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.19
H-Index - 28
eISSN - 2090-3340
pISSN - 2090-3332
DOI - 10.1155/2014/534864
Subject(s) - semimartingale , mathematics , stratonovich integral , integral equation , mathematical analysis , algorithm , riemann integral , singular integral
We will use the Henstock (or generalized Riemann) approach to define the Stratonovich integral with respect to continuous semimartingale in space. Our definition of Stratonovich integral encompasses the classical definition of Stratonovich integral.
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